Alberto Plazzi

Universita' della Svizzera italiana

Professor of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

http://usi.to/mpy

Swiss Finance Institute

Faculty Member

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • Universita' della Svizzera italiana

  • Swiss Finance Institute

SCHOLARLY PAPERS

23

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TOTAL CITATIONS
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179

Scholarly Papers (23)

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1.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
Eric Ghysels, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,797 (20,402)
Citation 7

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real estate, predictability, market efficiency, REIT

2.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 1,672 (22,773)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

3.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,393 (29,973)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

4.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,230 (35,926)
Citation 24

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risk, return, financial crisis, flight-to-safety

5.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 1,098 (42,455)
Citation 15

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Cap rate, real estate, return predictability

6.

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

Downloads 467 (43,984)

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 467 (128,017)

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volatility forecasting, multi-period forecasts, mixed-data sampling

7.

What Constrains Liquidity Provision? Evidence From Institutional Trades

Downloads 878 (57,886)
Citation 21

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
Efe Cotelioglu, Francesco A. Franzoni and Alberto Plazzi
American University of Sharjah, Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 731 (72,836)
Citation 12

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni and Alberto Plazzi
Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 144 (423,018)
Citation 9

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence from Hedge Fund Trades

CEPR Discussion Paper No. DP13645
Number of pages: 46 Posted: 09 Apr 2019
Francesco A. Franzoni, Alberto Plazzi and Efe Cotelioglu
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and American University of Sharjah
Downloads 3 (1,342,481)
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

8.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Swiss Finance Institute Research Paper No. 17-53, Published, Management Science, 2019, Vol. 65:11, 5268–5289
Number of pages: 59 Posted: 18 Oct 2013 Last Revised: 05 Mar 2021
Priyank Gandhi, Benjamin Golez, Jens Carsten Jackwerth and Alberto Plazzi
Rutgers University, New Brunswick, University of Notre Dame, University of Konstanz - Department of Economics and Universita' della Svizzera italiana
Downloads 868 (58,831)
Citation 22

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Libor, manipulation, financial market misconduct, enforcement

9.

Equity Is Cheap for Large Financial Institutions

Downloads 776 (68,387)
Citation 16

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers University, New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 700 (77,026)
Citation 1

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Financial crisis, Financial firms, Banking, Government bailouts

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 79 Posted: 20 Jun 2016 Last Revised: 30 Jan 2023
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers University, New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 76 (667,719)
Citation 15

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10.

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Downloads 679 (81,242)
Citation 3

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Swiss Finance Institute Research Paper No. 21-30
Number of pages: 73 Posted: 14 Apr 2021 Last Revised: 05 Apr 2024
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
University of Warwick, Warwick Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 479 (124,185)

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Public Guarantees

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

SAFE Working Paper No. 331
Number of pages: 68 Posted: 14 Dec 2021 Last Revised: 15 Mar 2022
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
University of Warwick, Warwick Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 200 (316,178)
Citation 3

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Bailout

11.

Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Swiss Finance Institute Research Paper No. 16-54
Number of pages: 40 Posted: 09 Sep 2016 Last Revised: 05 Dec 2019
Alberto Plazzi, Walter N. Torous and Umit Yilmaz
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of Missouri at Columbia - Department of Finance
Downloads 594 (96,391)

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corporate governance, AGR, operating performance

12.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 56 Posted: 10 Feb 2016 Last Revised: 21 Jun 2022
Marc Gerritzen, Jens Carsten Jackwerth and Alberto Plazzi
Man AHL, University of Konstanz - Department of Economics and Universita' della Svizzera italiana
Downloads 479 (125,742)

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hedge funds, social ties, networks, abnormal performance

13.

Dissecting the Yield Curve: The International Evidence

Journal of Banking and Finance, Vol. 134, 2022. https://doi.org/10.1016/j.jbankfin.2021.106286
Number of pages: 63 Posted: 24 Jun 2019 Last Revised: 27 Dec 2023
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Universita' della Svizzera italiana
Downloads 474 (127,290)
Citation 8

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Term structure, term premia, yield volatility, macro factors, comovement

14.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Management Science, vol. 67, n. 12, pp. 7888–7911, 2021. https://doi.org/10.1287/mnsc.2020.3847
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 27 Dec 2023
Andrea Berardi, Michael Markovich, Alberto Plazzi and Andrea Tamoni
Ca Foscari University of Venice - Dipartimento di Economia, QIO Quantitative Investment Office, Universita' della Svizzera italiana and University of Notre Dame - Mendoza College of Business
Downloads 465 (130,256)
Citation 2

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Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

15.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Forecast Combination meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 53 Posted: 08 Mar 2021 Last Revised: 03 Dec 2021
Matteo Garzoli, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 401 (154,905)
Citation 1

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

16.

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 394 (158,455)

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Commercial real estate, cross-sectional volatility, total risk

17.

Does Monetary Policy Impact International Market Co-Movement?

Downloads 378 (165,518)
Citation 5

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 231 (275,342)
Citation 2

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

SAFE Working Paper No. 276
Number of pages: 51 Posted: 14 May 2020 Last Revised: 21 Dec 2021
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 147 (415,985)
Citation 3

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Sovereign credit risk, Monetary policy, Quantitative easing, Mundellian trilemma, Comovement

18.

Diversification by U.S. Banks: True Safety or a False Sense of Security?

Swiss Finance Institute Research Paper No. 16-43
Number of pages: 27 Posted: 02 Jul 2016 Last Revised: 25 Oct 2024
Saurabh Ahluwalia, Priyank Gandhi and Alberto Plazzi
University of New Mexico - Department of Finance, International, and Techology (FIT), Rutgers University, New Brunswick and Universita' della Svizzera italiana
Downloads 329 (192,641)
Citation 1

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Bank diversification, Non-interest income, Systemic risk, Financial crisis

19.

Financial Intermediaries and Demand for Duration

Swiss Finance Institute Research Paper No. 23-94
Number of pages: 69 Posted: 19 Oct 2023 Last Revised: 15 Aug 2024
Alberto Plazzi, Andrea Tamoni and Marco Zanotti
Universita' della Svizzera italiana, University of Notre Dame - Mendoza College of Business and USI Lugano
Downloads 273 (234,348)

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Institutional demand, Equity duration, Long-term investors, Capital constraints

20.

Inflation Risk Premia, Yield Volatility and Macro Factors

Swiss Finance Institute Research Paper No. 18-13, Published, Journal of Financial Econometrics, 2019, Vol. 17:3, 397–431
Number of pages: 51 Posted: 30 Jan 2018 Last Revised: 26 Dec 2023
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Universita' della Svizzera italiana
Downloads 272 (235,278)
Citation 4

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Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors

21.

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

Number of pages: 49 Posted: 20 Dec 2021
Loriana Pelizzon, Massimiliano Caporin and Alberto Plazzi
Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Padua - Department of Statistical Sciences and Universita' della Svizzera italiana
Downloads 61 (737,814)

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Sovereign credit risk, Monetary Policy, Quantitative easing, Mundellian trilemma, Comovement

22.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

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23.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate